About¶
shortrate¶
risk factor model library python style.
Example Usage¶
from businessdate import BusinessDate, BusinessRange
from dcf import ZeroRateCurve, FxCurve
from timewave import Consumer, Engine
from shortrate import RiskFactorProducer, GBMFxCurve, HullWhiteCurve, HullWhiteFxCurve, HullWhiteMultiCurrencyCurve
s = BusinessDate()
t = s + '10y'
g = BusinessRange(s, t, '6M')
d = ZeroRateCurve([s], [0.05])
f = ZeroRateCurve([s], [0.04])
x = FxCurve([s], [.8], domestic_curve=d, foreign_curve=f)
r = GBMFxCurve.cast(x, volatility=0.2)
print r.evolve(1., s, s + '1y', 0.01)
print r.get_fx_rate(s + '3y'), r._factor_date
print r.evolve(1., s + '1y', s + '5y', 0.1)
print r.get_fx_rate(s + '7y'), r._factor_date
hwd = HullWhiteCurve.cast(d, mean_reversion=0.01, volatility=0.03, terminal_date=t)
hwf = HullWhiteCurve.cast(f, mean_reversion=0.01, volatility=0.03, terminal_date=t)
hwx = HullWhiteFxCurve.cast(r, hwd, hwf)
hwxf = HullWhiteMultiCurrencyCurve.cast(hwf, hwd, hwx)
print hwd.evolve(1., s, s + '1y', 0.01)
print hwf.evolve(1., s, s + '1y', 0.02)
print hwx.evolve(1., s, s + '1y', (0.01, 0.02, 0.01))
print hwxf.evolve(1., s, s + '1y', 0.02)
func = (lambda x: hwd.get_cash_rate(t - '1y'))
c = Consumer(lambda x: func(x.date))
res = Engine(RiskFactorProducer(hwd), c).run(g, 100)
print res
Install¶
The latest stable version can always be installed or updated via pip:
$ pip install shortrate
If the above fails, please try easy_install instead:
$ easy_install shortrate
Development Version¶
The latest development version can be installed directly from GitHub:
$ pip install --upgrade git+https://github.com/pbrisk/shortrate.git
Contributions¶
Issues and Pull Requests are always welcome.